com.opengamma.strata.pricer.swaption

Class NormalSwaptionCashParYieldProductPricer

java.lang.Object

com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer

com.opengamma.strata.pricer.swaption.NormalSwaptionCashParYieldProductPricer

public class NormalSwaptionCashParYieldProductPricer
extends VolatilitySwaptionCashParYieldProductPricer

Pricer for swaption with par yield curve method of cash settlement in a normal model on the swap rate.

The swap underlying the swaption must have a fixed leg on which the forward rate is computed. The underlying swap must be single currency.

The volatility parameters are not adjusted for the underlying swap convention.

The value of the swaption after expiry is 0. For a swaption which already expired, negative number is returned by SwaptionVolatilities.relativeTime(ZonedDateTime).

Field Summary

Fields

Modifier and Type	Field and Description
static NormalSwaptionCashParYieldProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
NormalSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer) Creates an instance.

Method Summary

Modifier and Type	Method and Description
double	impliedVolatilityFromPresentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, DayCount dayCount, double presentValue) Computes the implied normal volatility from the present value of a swaption.

Methods inherited from class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer

calculateNumeraire, calculateStrike, currencyExposure, fixedLeg, forwardRate, getSwapPricer, impliedVolatility, presentValue, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRatesStickyStrike, presentValueTheta, validate, validateSwaption

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final NormalSwaptionCashParYieldProductPricer DEFAULT

Default implementation.

Constructor Detail

NormalSwaptionCashParYieldProductPricer

public NormalSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer)

Creates an instance.

Parameters:

swapPricer - the pricer for Swap

Method Detail

impliedVolatilityFromPresentValue

public double impliedVolatilityFromPresentValue(ResolvedSwaption swaption,
                                                RatesProvider ratesProvider,
                                                DayCount dayCount,
                                                double presentValue)

Computes the implied normal volatility from the present value of a swaption.

The guess volatility for the start of the root-finding process is 1%.

Parameters:

swaption - the product

ratesProvider - the rates provider

dayCount - the day-count used to estimate the time between valuation date and swaption expiry

presentValue - the present value of the swaption product

Returns:

the implied volatility associated with the present value